In this letter, we consider a discrete-time portfolio with m≥ 2 assets optimization problem
which includes the rebalancing frequency as an additional parameter in the maximization …

When it comes to asset allocation and portfolio management, Kelly criterion is a
mathematical formula used to optimise expected log-returns over the long term …

In this paper, motivated by the celebrated work of Kelly, we consider the problem of portfolio
weight selection to maximize expected logarithmic growth of a trader's account. Going …

Stock trading based on Kelly's celebrated Expected Logarithmic Growth (ELG) criterion, a
well-known prescription for optimal resource allocation, has received considerable attention …

The celebrated Kelly betting strategy guarantees, with probability one, higher long-run
logarithmic growth than any other causal investment strategy. However, on the way to its …

We consider a discrete-time linear state equation with delay, which arises as a model for a
trader's account value when buying and selling a risky asset in a financial market. The state …

For sequential betting games, Kelly's theory, aimed at maximization of the logarithmic growth
of one's account value, involves optimization of the so-called betting fraction K. In this letter …

The take-off point for this paper is the Simultaneous Long-Short (SLS) control class, which is
known to guarantee the so-called robust positive expectation (RPE) property. That is, the …

ABSTRACT In 1956, John Kelly formulated an optimal strategy, the so-called 'Kelly criterion',
for bidding at each step of a favorable game when the odds and probability of winning are …

In this paper, we consider a simple discrete-time optimal betting problem using the
celebrated Kelly criterion, which calls for maximization of the expected logarithmic growth of …